Fractional integration for irregular martingales
Probability
2020-09-14 v1 Classical Analysis and ODEs
Abstract
We suggest two versions of the Hardy--Littlewood--Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively irregular; the second version lacks the martingale property while being analytically meaningful for an arbitrary filtration.
Cite
@article{arxiv.2009.05293,
title = {Fractional integration for irregular martingales},
author = {Dmitriy Stolyarov and Dmitry Yarcev},
journal= {arXiv preprint arXiv:2009.05293},
year = {2020}
}
Comments
8 pages